High-volume capacity electrode materials are the key to the development and application of lithium-ion batteries in electric vehicles and small consumer electronics. Here, through simply calcination the W-based metal-organic frameworks, a novel Fe₂WO₆ hierarchical porous octahedra with oxygen vacancies are successfully constructed. Oxygen vacancies can enhance the conductivity of the material, provide more Li⁺ storage sites, while the hierarchical porous structure effectively buffers the volume expansion and promotes the diffusion of the electrolyte. Besides, by introducing the heavy element W, the compact density of Fe₂WO₆ is as high as 2.9 g cm⁻³. Thus, an ultrahigh volumetric capacity of 4785 mAh cm⁻³ (0.2 A g⁻¹), and superior rate capability of 2323 mAh cm⁻³ (4.0 A g⁻¹) could be achieved by Fe₂WO₆ anode, which is the best performance of W-based anode so far. Furthermore, the mechanism of the significant increment in capacity is also investigated. The new findings indicate that the phase transition and structural rearrangement of the Fe₂WO₆ electrode, along with the enhanced reversible formation and decomposition of the polymer/gel-like film, collectively result in the capacity evolution during cycling. Remarkably, the introduction of oxygen vacancies and high density makes hierarchical porous Fe₂WO₆ a promising anode for high volumetric lithium storage.